Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0649
Annualized Std Dev 0.3621
Annualized Sharpe (Rf=0%) 0.1791

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1785
Quartile 1 -0.0116
Median 0.0000
Arithmetic Mean 0.0005
Geometric Mean 0.0002
Quartile 3 0.0120
Maximum 0.1947
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0005
Stdev 0.0228
Skewness 0.1893
Kurtosis 5.5706

Downside Risk

Close
Semi Deviation 0.0158
Gain Deviation 0.0166
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0203
Downside Deviation (Rf=0%) 0.0156
Downside Deviation (0%) 0.0156
Maximum Drawdown 0.8129
Historical VaR (95%) -0.0335
Historical ES (95%) -0.0503
Modified VaR (95%) -0.0332
Modified ES (95%) -0.0456
From Trough To Depth Length To Trough Recovery
2010-12-07 2016-01-19 NA -0.8129 2589 1287 NA
2008-03-17 2008-10-27 2010-10-01 -0.6525 643 157 486
1999-10-05 2000-11-13 2002-02-04 -0.3957 585 282 303
2002-06-04 2002-07-26 2002-12-13 -0.3570 136 38 98
2003-12-03 2005-05-13 2005-10-10 -0.2964 467 364 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.5 1.2 -0.4 0.7 0.4 -0.4 -2.3 -0.7 5.1 -2.8 0 -0.3 1.8
2000 -1.1 1 1.8 1.6 0 1.6 0.4 0 -0.4 -0.9 0.9 -0.8 4.2
2001 4 -2.4 -0.4 1.5 0.8 1.3 0.1 -1.1 4.6 1.1 0.6 0.9 11.2
2002 4.1 2 0.7 2.3 1.2 8.3 4.4 -0.3 -4.1 4.3 0.4 2.5 28.4
2003 -0.7 2.2 -1.3 1.2 -0.1 3.4 -0.8 -0.1 0 -0.1 0.3 -0.5 3.4
2004 0.4 0.8 0 -0.2 -1.1 0.3 1.2 0.1 -1.4 0 0.1 0.2 0.5
2005 0 -1.1 0.8 1.9 2.5 -1.3 0.5 2.9 -0.8 -0.1 3.4 0 8.9
2006 0.1 0.3 -0.2 2 -2.9 4.7 1.4 1.1 -0.8 0 -0.2 0.5 6.2
2007 0.4 -1 0.7 -0.5 2.2 1.1 -1.4 2.7 0.3 -3 0 -1.4 0
2008 -0.4 0.6 -3.4 -2.8 1.1 -0.9 -2.4 -0.6 0.8 -0.8 -10.1 2.3 -15.8
2009 0.7 -0.5 3.4 -0.2 1.4 1.7 3.4 -0.8 -1.9 -2.3 3.3 0.3 8.5
2010 2.6 1 2.7 -0.1 -0.8 -2.6 0.8 -1.7 2 1.2 0 1 6.2
2011 1.9 1.2 -0.7 0.5 -1.7 -0.6 -0.2 0.2 -2.1 -1.1 1.4 0.5 -1
2012 0.3 -0.1 1.8 0 3.1 2.7 -2 2 0.8 -0.8 -0.8 1.4 8.5
2013 0.1 0.7 -0.8 -1.9 -1.8 1 -1.4 -0.7 -0.3 -3 1.6 0.5 -5.9
2014 -0.2 0 -0.1 -0.6 0.6 -1 0.8 0.3 -0.9 -4.4 4.4 0.6 -0.5
2015 1.6 1.2 3.5 1 -1.8 -2.5 2.1 -0.6 -3.2 -1.3 3.1 1.8 4.9
2016 2.7 -1.9 0.5 6 0.3 6 2.1 3.8 0.1 2.9 0.5 -2.8 21.6
2017 0.4 0.8 0.7 -2.2 0 0.6 -0.7 0.4 -0.3 -0.3 0.4 -0.2 -0.4
2018 -0.3 0.7 1.5 0.6 0.2 1.7 -0.7 -0.8 0 3.7 -0.3 1.8 8.1
2019 -1 -2.2 -2.3 -1.6 3.4 -3.8 4.8 0.3 1 -0.9 1.6 -0.4 -1.2
2020 1.1 -6.7 3.5 2.8 3.5 -0.1 2.7 -1.3 2.8 0.4 4.5 -1.2 12.1
2021 4.8 -0.6 1.8 NA NA NA NA NA NA NA NA NA 5.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  5.25 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  5.38 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  5.56 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  6.29 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  6.08 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  6.23 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart